答复: Pricing Single barrier Option

Posted by cheng li on
URL: http://quantlib.414.s1.nabble.com/Pricing-Single-barrier-Option-tp16625p16626.html

Hi Paulo,

 

What is the pricing engine you are using? If it is FdBlackScholesBarrierEngine I think there is a flag called localVol to turn on the local volatility surface?

 

Regards,

Cheng

 

发件人: Paulo Roberto Lagrotta [mailto:[hidden email]]
发送时间: 2015年6月5日 7:19
收件人: [hidden email]
主题: [Quantlib-users] Pricing Single barrier Option

 

Hi everybody,

Is possible price a single barrier equity option using volatility skew surface?

I already tried using BlackVarianceSurface to price a Call UpOut with strike 100 and barrier @ 110. Price is not sensitive if change the skew.

 

Thanks in advanced.

PL

------------------------------------------------------------------------------

_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users